A Unified Convergence Theorem for Stochastic Optimization Methods

Part of Advances in Neural Information Processing Systems 35 (NeurIPS 2022) Main Conference Track

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Xiao Li, Andre Milzarek


In this work, we provide a fundamental unified convergence theorem used for deriving expected and almost sure convergence results for a series of stochastic optimization methods. Our unified theorem only requires to verify several representative conditions and is not tailored to any specific algorithm. As a direct application, we recover expected and almost sure convergence results of the stochastic gradient method (SGD) and random reshuffling (RR) under more general settings. Moreover, we establish new expected and almost sure convergence results for the stochastic proximal gradient method (prox-SGD) and stochastic model-based methods for nonsmooth nonconvex optimization problems. These applications reveal that our unified theorem provides a plugin-type convergence analysis and strong convergence guarantees for a wide class of stochastic optimization methods.